2. Key take-aways nine months 2012 results
Results Satisfactory underlying net profit of EUR 1,201m in 9M2012, up 22% from EUR 983m in 9M2011
Underlying results Q3 2012 up 10% to EUR 374m from EUR 341m in Q2 2012
Results improved due to lower impairments on Greek exposures and a decline in expenses
Operating result for 9M2012 increased by 5% and the underlying cost/income ratio for 9M2012 improved to
59% from 63% in 9M2011
Reported net profit of EUR 1,045m in 9M2012 and EUR 302m in Q3 2012
Business Despite current market conditions business results were satisfactory and costs remained under control
performance Increase commercial loan book mainly in Merchant Banking
Mortgage book size remained virtually stable at EUR 155bn, margins improved
Solid deposit inflow in Retail and Private Banking, margins remained under pressure
Client-related integration remains on track, expected to be finalised this year
Asset quality Impairments down 23% to EUR 762m (9M2011: EUR 989m) mainly because of a EUR 500m charge in
9M2011 on Greek exposures followed by a release of EUR 125m in 9M2012
Adjusted for these, impairments were up 81% mainly in Merchant, Private and Retail Banking as a result of
deterioration of the Dutch economy
Impairments in Commercial Banking remained elevated
Impaired ratio for the total loan portfolio remained virtually stable compared to YE2011 at 2.4% (mortgages
0.9%)
Capital Core Tier 1 ratio of 11.4%, Tier 1 ratio of 12.2% and total capital ratio of 17.1%
The capital position of 30 September 2012 would result in a Basel III CET1 ratio of 10.4%, above the targeted
CET1 ratio of at least 10% as from 2013
Liquidity & Funding In 9M2012 EUR 14.1bn of long-term funding (excl. EUR 2.2bn subordinated debt) was issued in numerous
currencies and maturities and an additional EUR 0.7bn was issued in October 2012
All long-term funding maturing in 2012 was re-financed by April 2012
Liquidity buffer amounted to EUR 58.1bn at 30 September 2012
2
3. Table of contents
At a glance
Financial results
Risk Management
Capital, Funding and Liquidity Management
Business profiles & segment results 1H2012
Annex
3
5. At a glance
Profile
A leading Dutch bank with the majority of revenues generated by interest income
Clearly defined business model:
Strong position in the Netherlands in all markets
International growth areas in Private Banking, ECT1 and ABN AMRO Clearing1
Moderate risk profile with a clean balance sheet, limited trading and investment activities, low exposure to GIIPS2 and sound capital and
liquidity management
Execution excellence with strong focus on improving service to customer, lowering cost base and achieving integration synergies
Retail Banking Private Banking Commercial Banking Merchant Banking
Top position in the Netherlands No.1 in the Netherlands and Top position in the Netherlands Strong domestic position,
Serves Dutch mass retail and No.3 in the Eurozone3 Serves Business Clients (SMEs) leading global positions in
mass affluent clients with Serves private clients with and Corporate Clients (up to ECT & Clearing1
investible assets up to EUR 1m investible assets >EUR 1m, EUR 500m revenues) Serves Large Corporates &
FTEs: 6,435 foundations and charities FTEs: 3,322 Merchant Banking and Markets
Clients: 6.8m FTEs: 3,661 clients
AuM: EUR 159.9bn FTEs: 2,147
Group Functions: supports the businesses with TOPS, Finance (incl. ALM/Treasury), Risk Management & Strategy and ICC1
Operating income by type of income Operating income by business Operating income by geography
Other non- Group
Functions Rest of World
interest 6%
income Merchant 3% Rest of
Notes: 12% Europe
Banking
1. ECT: Energy, Commodities & 20% 11%
Retail
Transportation; Clearing refers
Banking
to the clearing activities of the Net fee and
41%
bank and its subsidiaries; commission 9M2012
income 9M2012 9M2012
TOPS: Technology, Operations EUR 5.6bn EUR 5.6bn EUR 5.6bn
21%
and Property Services; ICC:
Integration, Communication and Net interest Commercial
Compliance income Banking
2.GIIPS: Greece, Italy, Ireland, 67% 21% Netherlands
Portugal and Spain 83%
Private
3.Source: based on Scorpio
Banking
Private Banking Benchmark 15%
report 2011
5
6. At a glance
Financial highlights nine months 2012 results
Key messages Key figures
in EUR m 9M2012 9M2011 FY 2011
Underlying net profit for 9M2012 improved to EUR 1,201m due to lower Underlying Operating income 5,624 5,949 7,794
Underlying Operating expenses 3,318 3,760 4,995
impairments on Greek exposures and a decline in expenses
Impairment charges 762 989 1,757
Underlying cost/income (C/I) ratio for 9M2012 improved to 59% from 63% in Underlying Net profit 1,201 983 960
Integration and Separation (net) -156 -173 -271
9M2011, below the 60-65% C/I target for end 2012 Reported Net profit 1,045 810 689
Impairments down to EUR 762m (9M2011: EUR 989m) due to Greek Underlying Cost/Income ratio 59% 63% 64%
exposures. Excluding Greek exposures1, impairments up 81% mainly as a Return on average Equity (IFRS) 12.8% 7.8%
Return on average RWA (in bps) 129 85
result of deterioration of Dutch economic environment. Q4 impairments are 30% 29%
RWA/Total assets
expected to increase further Cost of risk 2 (in bps) 82 156
Underlying net profit in Q3 up to EUR 374m from EUR 341m in Q2, driven in EUR bn 30 Sep 12 31 Dec 11
Total assets 430.4 404.7
by a decrease in impairments partially offset by higher tax charges Assets under Management 159.9 146.6
FTEs (#) 23,429 24,225
Business segments showed satisfactory performance despite challenging
Equity (IFRS) 14.0 11.4
market conditions; costs under control RWA Basel II 130.1 118.3
Available liquidity buffer 58.1 58.5
Core Tier 1 increased to 11.4% primarily as a result of the conversion of the
Notes: Core tier 1 ratio3 11.4% 10.7%
Separation and integration costs liability resulting from the MCS Tier 1 ratio 12.2% 13.0%
impact the financials. Underlying Total Capital ratio 17.1% 16.8%
results allow for a better Total capital ratio up to 17.1%, due to issuance of Tier 2 capital
Loan to deposit ratio 126% 130%
understanding of trends and
exclude separation and
integration costs
1.Greek exposures are Greek
government-guaranteed
Credit ratings4
corporate exposures
2.Cost of risk = impairment Rating agency Long term Standalone LT Outlook Short term
charges over average RWA;
excluding the Greek impairments S&P A bbb+ Stable A-1
the cost of risk was 95bps for Moody‟s A2 C- (baa2) Stable P-1
9M2012 (58bps in 9M2011) Fitch A+ bbb+ Stable F1+
3.Core Tier 1 ratio is defined as DBRS Ahigh A Stable R-1middle
Tier 1 capital excluding all hybrid
capital instruments
4.Credit ratings as at 15
November 2012
6
7. At a glance
Key financial messages
Net interest margin and total assets Impairments charges and cost of risk1
In EUR bn In EUR m
600 160bp 1,000 300bp
267
Total assets (lhs) NIM (rhs)
127 132 132 Impairments (lhs) 243
124 122 122 122
115 117 750 225bp
450 120bp
Cost of risk (rhs) 768
419 421 430
397 405 406 679
391 377 386
135
300 80bp 500 150bp
119
105
85 67 367
150 40bp 250 78 45 75bp
61 65
257 77
232 45 54 208
185 187
125
0 0bp 0 0bp
3Q2010 4Q2010 1Q2011 2Q2011 3Q2011 4Q2011 1Q2012 2Q2012 3Q2012 3Q2010 4Q2010 1Q2011 2Q2011 3Q2011 4Q2011 1Q2012 2Q2012 3Q2012
Net interest margin (NIM) showed a slight decline compared to 2010 Cost of risk increased as from Q2 2011 as a result of worsening
and early 2011 levels, largely due to increase in Securities Financing economic circumstances in the Netherlands
Underlying operating result and cost/income ratio Capital ratio development
In EUR m Operating result (lhs) C/I (rhs)
1,000 75% 25%
70% 68% 67%
Core Tier 1 ratio (%) Tier 1 ratio (%) Total Capital ratio (%)
63%
60% 58% 59% 59%
58% 20%
750 60%
17.9 18.2
15% 17.4 16.8 17.1
16.6 16.6 16.5 16.2
500 856 45% 13.8 13.9 13.2 12.7
677 12.6 12.8 13.0 12.9 12.2
805 797 769
10% 11.3 11.4
656 610 740 10.4 10.9 10.7 10.6 11.9 11.4
614 10.1
250 30%
5%
Notes:
All figures are underlying 0%
0 15%
figures, which exclude 3Q2010 4Q2010 1Q2011 2Q2011 3Q2011 4Q2011 1Q2012 2Q2012 3Q2012 3Q2010 4Q2010 1Q 2011 2Q 2011 3Q2011 4Q2011 1Q2012 2Q2012 3Q2012
separation & integration items,
in EUR m Cost/income trending down to below YE2012 target of 60-65%, Core tier 1 ratio up to 11.4% due to the conversion of the MCS
1. Cost of risk is loan impairments due to lower expenses and integration synergies liability and retained earnings. Total capital ratio further increased
over average RWA largely due to several Tier 2 issuances
7
8. At a glance & Customer Excellence
Integration
Integration budget and targets
Integration expenses Integration expenses
Client integration on schedule and expected to be finalised by
In EUR bn Expected total pre-tax integration expenses EUR 1.6bn
YE2012 1.6
1.4
Total integration expenses of EUR 209m (gross) in the first nine
1.2
months 2012, largely consisting of project costs (IT infrastructure
and Markets integration) 0.8
0.8
Total integration expenses 2009-2012(YTD) amounted to EUR
0.4
1.4bn and are expected to remain within the overall budget of EUR 0.4
0.3
1.6bn 0.1 0.2
0.0
Actual Actual Actual Actual Total 2009 - Expected Q4
FY2009 FY2010 FY2011 9M2012 2012 (ytd) 2012
-
Targeted cost synergies
Integration synergies
In EUR bn
Cumulative integration synergies 2009-2012 (YTD) amounted to 1.3
c. EUR 0.9bn; derived mainly from housing savings, personnel 1.1
reductions 1.0
0.9
Total synergies for the entire process expected to reach the 0.8
0.8
synergy target of EUR 1.1bn per annum (pre-tax) as from January
0.5
2013
0.3
0.3
0.1
0.0
2009 (cum)2010 (cum)2011 (cum) 9M 2012 Run-rate Other Admin & Personnel
(cum) (2013) General expenses
Cost/Income ratio
Cost/income targets
Between 60-65% by year-end 2012 90%
Underlying Integration target YE2012 (60-65%) Target 2014 (<60%)
Structurally below 60% by 2014
80%
70%
60%
50%
1H2009 2H2009 1H2010 2H2010 1H2011 2H2011 9M2012
8
9. At a glance
Integration milestones delivered on time and within budget
Integration objectives and status
The ambitious timelines for the execution of the Legal Merger and the retail bank integration were delivered on time and within budget
Both the Commercial & Merchant Banking integration and the Private Banking integration were completed ahead of schedule
The remaining integration activities are well on track
EC Remedy (incl. the transfer of client data) Completed
Migration from FBN systems to ABN AMRO systems
FBN Retail Banking clients: 1.6m Completed
Private Banking clients Completed
Commercial Banking & Merchant Banking clients (ex ECT NL) Completed
ECT-NL Completed
Segment integration objectives
Retail & Private
Integration of 153 FBN and 501 ABN AMRO retail Completed
Banking branches
Commercial &
Restore presence of Corporate Clients in NL related Completed
Merchant Banking to EC Remedy
Fully operational dealing room Completed
Re-establish client teams / trading capabilities in all Completed (UK, Hong Kong and the USA)
time zones
Expand Commercial Banking units abroad Completed: Offices opened in UK, Germany, France,
Belgium, Hong Kong & Singapore)
Strengthen international position of ECT Completed: (Rep) offices in Greece, Brazil, USA and
Hong Kong, Shanghai
Housing 114 buildings to be sold and 144 rental contracts to In progress (28 buildings yet to be divested and 11
be terminated rentals to be terminated)
Human Resources Resourcing employees following integration In progress (97% of employees informed on future
within the new organisation)
9
11. Financial results
Key underlying profit drivers
Net interest income (-1%) Non-interest income (-14%)
In EUR m In EUR m
4,000 4,000
3,000 3,000
2,000 2,000
3,807 3,773
1,000 1,000 2,142
1,851
0 0
9M2011 9M2012 9M2011 9M2012
Net interest income 1% lower largely due to pressure on savings Net fees & commissions decreased 16%, explained by divestments,
margins and higher funding costs. Margins on mortgage and consumer lower transaction volumes and a reclassification. Other non-interest
loans improved income declined 9% due to a reclassification, lower private equity
results and debt value adjustments
Operating expenses (-12%) Impairment charges (-23%)
In EUR m In EUR m
4,000 2,000
3,000 1,500
2,000 1,000
3,760
3,318 989
887
+81% (excl. 762
1,000 500 Greece)
489 (excl. Greek
(excl. exposures)
Greece)
0 0
9M2011 9M2012 9M2011 9M2011 9M2012 9M2012
Excluding EUR 177m restructuring provision in 2011, the impact of Impairments down because of Greek impairments (release EUR
divestments and reclassifications, operating expenses were roughly 125m in 9M2012 and EUR 500m charge in 9M2011). Adjusted for
unchanged mainly due to cost synergies being offset by wage inflation these, impairments were up 81% and reflect the current economic
and a rise in losses from cybercrime conditions
11
12. Financial results
Underlying results by segment
Retail Banking net profit down by EUR 81m due to lower Underlying results by segment 9M2012
margins on savings, a decline in fee income and higher
In EUR m
impairments (mortgages and consumer loans)
900
Private Banking net profit declined by EUR 93m as a result of 9M2011 9M2012
lower fee income and higher impairments
704
600
623
Net profit for Commercial Banking increased by EUR 27m
largely due to lower operating expenses. Impairment levels
remained elevated 300 391
254
209
Merchant Banking net profit declined by EUR 137m as a result 153 60 55
28
of higher impairments (primarily to public sector and real 0
estate), partly offset by a higher operating result
-293
Group Functions1 net profit increased to EUR 209m largely due -300
to lower costs (restructuring provision in 2011) and lower Retail Private Commercial Merchant Group
Banking Banking Banking Banking Functions
impairments on Greek exposures
Note:
1. Group Functions supports the
business segments and almost
all costs are allocated to the
business segments as from
2012
12
13. Financial results
Increase balance sheet primarily due to SF volumes and loan growth
Balance sheet increased by EUR 25.7bn. Largely impacted by the Balance sheet
increase in client flows SF1 (EUR +13.0bn assets and EUR
in EUR m 30 Sep 2012 31 Dec 2011
+13.7bn liabilities)
Cash and balances at central banks 7,988 7,641
Financial assets held for trading 33,884 29,523
Increase in Loans and receivables – customers (excluding SF) of Financial investments 19,073 18,721
EUR 7.4bn largely driven by growth in LC&MB and Markets Loans and receivables - banks 62,648 61,319
(Clearing). Residential mortgage loans virtually stable at EUR of which securities financing 31,406 27,825
155bn Loans and receivables - customers 288,851 272,008
of which securities financing 25,882 16,449
Other 17,973 15,470
Financial assets and liabilities held for trading increased mainly due Total assets 430,417 404,682
to valuation changes of interest rate derivatives
Financial liabilities held for trading 22,941 22,779
Due to banks 32,137 30,962
Due to customers (excluding SF) increased as a result of growth in
of which securities financing 12,915 12,629
mainly Retail and Private Banking deposits both in the Netherlands 238,827
Due to customers 213,616
and abroad 38,774
of which securities financing 25,394
Issued debt 92,075 96,310
Issued debt decreased largely because of a decline in short term Subordinated liabilities 8,988 8,697
debt paper (CP/CD) Other 21,460 20,898
Total liabilities 416,428 393,262
Total equity increased primarily due to the cancellation of the Total equity 13,989 11,420
liability resulting from the MCS following the settlement with Ageas
Total equity and liabilities 430,417 404,682
(decrease in subordinated liabilities) and the retained earnings for
the period
Note:
1. SF = Securities Financing. Client
flows from securities financing
activities include all repo,
reverse repo and securities
lending and borrowing
transactions with professional
counterparties and are recorded
under loans and receivables-
customers, loans and
receivables-banks, due to
customers and due to banks
13
15. Risk management
Moderate risk profile
Maintaining a moderate risk profile, part of ABN AMRO‟s corporate strategy, is reflected in the balance sheet composition, in the clients,
products and geographies we serve, and translates in sound capital and liquidity management. A clear governance safeguards the
moderate risk profile
Balance sheet reflects Focus on asset based lending. Loan portfolio matched by customer deposits, long-term debt and equity
moderate risk profile Limited trading and investment activities (12% of total balance sheet, September 2012); trading book is
customer-driven; market risk is 5% of total RWA
Client, product and Serving mainly Dutch clients and their operations abroad (in core markets) and international clients in
geographic focused specialised activities (Private Banking International, Clearing, ECT, Lease and Commercial Finance)
Clear retail focus, with about half of the customer loans in residential mortgages
Credit risk kept within core geographic markets: the Netherlands, rest of Western Europe (mainly UK,
France and Germany), USA and Asia
Commercial loan portfolio adequately diversified with max concentration of 6% in one sector (excluding
banks and public administration) as of June 2012
Sound capital & liquidity Core Tier 1 ratio of 11.4% at 30 September 2012
management ABN AMRO targets a Common Equity Tier 1 ratio of at least 10% as from 2013
Leverage ratio above 3.1%, based on current Basel II Tier 1 capital, at 30 September 2012
Clear governance under 3 1st line, risk ownership: management of businesses is primarily responsible for the risk that it takes,
lines of defence approach the results, execution, compliance and effectiveness of risk control
2nd line, risk control: risk control functions are responsible for setting frameworks, rules and advice,
and monitoring and reporting on execution, management, and risk control. The second line ensures that
the first line takes risk ownership and has approval authority on credit proposals above a certain
threshold
3rd line, risk assurance: Group Audit evaluates the effectiveness of the governance, risk management
and control processes and recommends solutions for optimising them and has a coordinating role
towards the external auditor and the Dutch supervisor
15
16. Risk management
Balance sheet composition reflects moderate risk profile
Moderate risk profile underpinned by: Assets Liabilities & Equity
Focus on asset-based lending
Loan portfolio matched by deposits, LT-debt and
equity
36% Mortgages
Limited reliance on short-term debt 154.8
Customer 46%
deposits 199.7
Securities financing fully collateralised
Limited market risk and trading portfolios
Investment activities part of liquidity management
Other
25% customer loans
108.1
LT debt & sub 19%
liabilities; 82.1
Bank loans
7% 31.2 3%
Equity 14.0
Bank deposits 4%
Sec financing 19.2
13% (incl customers
& banks) 57.3 Sec financing 12%
(incl customers
& banks) 51.7
Held for
8% trading 33.9 Held for
5%
trading 22.9
Fin investments;
4% 19.1 ST debt 18.9
4%
Other (incl
6% cash) 26.0 Other 21.8 5%
Axis Title Axis Title
Balance sheet at 30 September 2012, EUR 430.4bn
16
17. Risk management
Client diversification reflection of client focus
Majority of the loan portfolio (in EAD) consists of private Industry concentration (Exposure at Default)
individuals (mostly residential mortgages)
Banks,
Financial Serv
Maximum current exposure to one single industry (except for & Insurance
banks and public administration) is 6% to Industrial Goods and 17.1%
Private
Services, which includes part of the ECT portfolio individuals Other 9.9%
46.6% Public
30 June 2012 administration
Other includes various sectors with exposures around 1% 7.6%
EUR 301.7bn
Industrial
goods &
services 6.0%
Real Estate
Construction
3.3%
0.9% Basic
Food &
Resources
beverage 2.6%
1.7% Oil & gas 2.1% Retail 2.2%
ECT Real Estate
Commodities c.
ECT comprises c. 4% of total 50% Transportation c. Real estate exposures include both commercial real estate
33%
loan portfolio at 30 June 2012 (CRE) and real estate for clients‟ own use
and 20% of off-balance sheet 30 Jun 2012
exposures, mostly related to 4% of loan Majority of CRE consist of investments in Dutch property with
book
Commodities (largely limited exposures to office investments and land banks
uncommitted facilities)
A screening of CRE portfolio resulted in additional Incurred But
Energy c. 17%
Not Identified (IBNI) charge of EUR 44m in H1 2012
Transportation is diversified in segments (tankers, dry/wet bulk
and container carriers). Majority of portfolio originated from 2008, The ratio of impaired exposures over EAD (real estate) increased
in a relatively low asset value environment. Despite challenging to 6.7% at H1 2012 from 5.3% at YE20111
markets in certain parts of the shipping industry impairment
charges remained subdued Management has acted to tighten CRE loan approval policies
and has increased focus on management of current portfolio
Note: Energy includes a diversified customer base in the oil & gas, and
1.In the interim report 2012 this off-shore services industries
was incorrectly stated as
impairment charges over EAD
17
18. Risk management
Geographic diversification reflection of client focus
79% of the credit risk exposure is concentrated in the Geographic concentration (Exposure at Default)
Netherlands and 13% in rest of Europe (mainly UK and
France)
Rest of Europe
13%
At 30 June 2012, the majority of the rest of Europe exposure is The
concentrated in the corporate sector (51%) with 29% in Netherlands
79% 30 Jun 2012
institutions and 20% in central governments and central banks, USA 2%
EUR 301.7bn
with no material exposures to Italy and Spain Asia 3%
Rest of the
Asian and rest of the world exposures are mostly concentrated world 3%
in ECT and the USA exposures relate mainly to Clearing, ECT
and securities financing
Gross EU government and government-guaranteed exposures
Greek government-guaranteed exposures amounted to EUR In EUR bn, 30 September 2012
0.4bn after impairment charges (EUR 1.2bn gross) at 30
September 2012. Early October part of the exposures were 16.0
Government Government Guaranteed
sold reducing the total exposures to EUR 0.3bn after 14.0
impairment charges (EUR 1.0bn gross) 1.3
12.0
Government exposures to Italy and Spain at 30 September 10.0
2012 remained unchanged at EUR 0.3bn and EUR 0.1bn 8.0
respectively 6.0
4.0
There were no exposures to governments of Portugal and
2.0
Ireland 12.4 2.3 1.7 1.4 0.4 0.3 0.3 0.2
1.2 0.8 0.8 0.1
0.0
18
19. Risk management
Risk parameters
Past due ratio: Financial assets that are The past due mortgage portfolio increased by EUR 0.2bn Past due ratio (up to and including 90+ days)
past due (but not impaired) as a percentage
of gross carrying amount
due to higher unemployment as a result of deteriorating
5%
economic conditions 31 Dec 2011 30 Sep 2012
Impaired ratio: Impaired exposures as a
percentage of gross carrying amount. The past due portfolio of commercial loans decreased by 4%
Mortgages that are 90+ days past due are EUR 0.4bn due to tightened control of credit files
classified as impaired exposures
Impaired ratio for commercial loans decreased (mainly due 3%
Coverage ratio: Impairment allowances for
identified credit risk as a percentage of the to increase in commercial loan book), and remained stable
2.1% 2.2%
impaired exposures for mortgages and other consumer loans
2%
The Coverage ratio in commercial loans decreased partly
1.1%
due to a release on Greek exposures
1%
0.6% 0.5%
0.4%
0.0% 0.0% 0.1% 0.0%
0%
Mortgages Commercial Other consumer Banks Governments
loans loans
Impaired ratio Coverage ratio
10% 125%
31 Dec 2011 30 Sep 2012 31 Dec 2011 30 Sep 2012
100.0% 100.0%
8% 100%
6.6%
5.9%
6% 75% 69.8% 66.1%
56.0% 55.2%
4% 50%
3.2% 3.2%
2% 25% 18.4%
17.2%
0.9% 0.9%
0.0% 0.0% 0.0% 0.0%
0% 0%
Mortgages Commercial Other consumer Banks Governments Mortgages Commercial Other consumer loans Banks
loans loans loans
19
20. Risk management
Mortgage portfolio of good quality
The average indexed LtMV was 82% by 30 September 2012 Loan to market value (indexed) - LtMV
(77% YE2011); the decline in house prices resulted in a shift
LtMV 80%-100%
to higher LtMV classes 18%
Marginal impairment charges over total mortgage loans of LtMV <50%
15%
13bps over 9M2012, up from 9bps in 9M2011
NHG
58% of new production YTD was in NHG (indirectly 23% 30 Sep 2012 LtMV 100%-110%
guaranteed by Dutch State) EUR 155bn 8%
Interest-only mortgages are expected to decrease going
forward, most of the new production in the first nine months LtMV >110%
11%
consisted of saving mortgages
Unclassified
LtMV 50%-80%
Approx. 90% of total mortgage portfolio consisted of fixed-rate 21%
4%
mortgage loans, with 5 and 10 years being most popular fixed
periods
Past due (up to 90 days) and impaired exposures Product split
In EUR m
4,000
Hybrid & life
31 Dec 2011 30 Sep 2012
3,534 investment
3,286 13%
3,000
Saving
Interest only mortgages
1,885 56% 30 Sep 2012 15%
2,000 EUR 155bn
1,730
1,481
1,343 1,392
Universal life
1,000 7%
671 730
Unclassified
461 6%
Annuity
2%
0
≤ 30 days > 30 ≤ 60 days > 60 < 90 days Total past due Total impaired
Note:
1.Please also refer to the Annex
on Dutch mortgage market
20
21. Risk management
Annex
Overview Dutch mortgage market
Overview of the Dutch mortgage market
A competitive and mature market of almost EUR 644bn1 in total size (Q2 2012) and new mortgage production in 9M2012 at
EUR 33.1bn2
Unique aspects of the Dutch mortgage market
Dutch consumers generally prefer fixed interest rates: 5 and 10 years being the most popular fixed-rate periods
The majority of existing mortgages are non-amortising, regulatory changes will encourage new loans to be fully amortising
Interest paid on mortgages is tax-deductible up to a maximum period of 30 years for owner-occupied property, although the rate of
tax deductibility will be gradually decreased (see next slide)
As from 1 July 2011: interest-only portion of the mortgage is capped at 50% of the original purchase price of the property and at a
maximum loan to market value of 104% (plus 2% transfer tax). This will be reduced to 103% (plus 2 transfer tax) in 2013 and
gradually in annual steps of 100bp to 100% by 2018
Unique and thorough underwriting process, including the involvement of a
notary and verification of loan applicants using data maintained by the
national credit registry (BKR), as well as a code of conduct and duty of care Market shares new mortgage production4
to prevent over-indebtedness of the borrower
Full recourse to borrowers upon default
Other Top 3
Borrowers can obtain a guarantee (for principal and interest) from a 27% 73%
national trust fund (Nationale Hypotheek Garantie “NHG”)3 for residential
9M2012
mortgages up to EUR 320k (to be decreased to EUR 265k by July 2014) EUR 33.1bn
Historically the Dutch residential mortgage market has seen very low
Notes: defaults
1.Source: DNB
2.Source: Dutch Land Registry As of 9M2012, 73% of new mortgage production is granted by the top 3
Office (Kadaster)
3.NHG: Dutch government- players in the market
guaranteed mortgages
4.9M2012 average (based on
monthly volumes). Source:
Kadaster
21
22. Risk management
Dutch mortgage market is expected to change
Recent developments
House prices declined by 2% in 20101, 2.3% in 20111 and another 7.9%1 until September 2012 and are expected to decline further in
20132. Transaction volumes remain at low levels. Foreclosures are rising but remain at relatively low levels
Housing demand is impacted by macro economic uncertainty, more stringent criteria and uncertainty on scope of tax deductibility:
In 2011 and 2012 the “accommodation ratios”3 were lowered, restricting borrowing capacity of a mortgage applicant
Mortgage Code of Conduct of August 2011 restricts interest-only portion and LtMV
NHG loan maximum lowered from EUR 350k to EUR 320k as per 1 July 2012, to gradually decrease to EUR 265k per 2014
The newly elected Dutch government has proposed the following measures, yet to be accepted by the Parliament:
Mortgage tax deduction for existing mortgages will be reduced in steps of 0.5% annually, starting in 2014 until the maximum deduction
is reduced from 52% now to 42%. This will lead to higher net monthly instalments and will provide an incentive for pre-payments
Not to allow tax deductibility any more for new interest-only mortgages, only for fully amortising mortgages
To keep the transfer tax at 2% permanently (following the temporarily decrease from 6% to 2%)
Transaction prices and volumes (quarterly, 1995=100)4 Number of foreclosures (rolling 12 month average)5
EUR „000 Transactions Foreclosures
Number of transactions (rhs) 3,000 2.5%
300 70,000
Median House Price Index (lhs)
Notes: CPI-adjusted Median House Price Index (lhs) Foreclosures (lhs) % of total transactions (rhs)
1.Based on calculations made by 250 60,000 2,500
2.0%
the Dutch Bureau of Statistics 50,000
(CBS) and Kadaster (Land 200 2,000
1.5%
Registry) 40,000
2.ABN AMRO Group Economics 150 1,500
expect -6% in 2012 and -8% in 30,000 1.0%
2013 100 1,000
20,000
3.Set by the National Institute for 0.5%
Family Finance Information 50 10,000 500
(NIBUD)
4.Based on a combination of data 0 0 0 0.0%
Dec
Jun
Dec
Jun
Dec
Jun
Dec
Jun
Dec
Jun
Dec
Jun
Dec
Jun
Dec
Jun
Sep
1995 1997 1999 2001 2003 2005 2007 2009 2011
from the Land Register
(Kadaster) and the Dutch
2005 2006 2007 2008 2009 2010 2011 2012
Bureau of Statistics (CBS)
5.Source Land Registry,
foreclosures are execution sales
22
24. Capital, Funding & Liquidity
Good capital base with large equity component
Capital Regulatory capital (Basel II)
Core Tier 1 ratio at 11.4%, up from year-end, predominantly as In EUR m 30 Sep 2012 31 Dec 2011
a result of the conversion of the MCS liability into equity Total Equity (IFRS) 13,989 11,420
Other 823 1,185
Core Tier 1 capital at 30 September 2012 includes 60% of Core Tier 1 capital 14,812 12,605
reported net profit as retained earnings (aligned with the Non-innovative hybrid capital - 1,750
dividend policy) Innovative hybrid capital 997 994
Tier 1 Capital 15,809 15,349
Total capital ratio 17.1%, up due to issuance of Tier 2 capital
Sub liabilities Upper Tier 2 (UT2) 187 178
(EUR 1bn and USD 1.5bn)1
Sub liabilities Lower Tier 2 (LT2) 6,628 4,709
Other -399 -379
Total Capital 22,225 19,857
RWA
RWA up in 9M2012 by EUR 11.8bn RWA Basel II 130,075 118,286
Credit risk (RWA) 107,797 101,609
Increase in credit risk RWA caused by business growth (EUR Operational risk (RWA) 15,461 13,010
5.0bn) and the temporary application of the standardised Market risk (RWA) 6,817 3,667
approach for part of the large corporates portfolio (EUR 6.6bn),
Core Tier 1 ratio1 11.4% 10.7%
partly offset by RWA releases following the completion of Tier 1 ratio 12.2% 13.0%
separation and integration activities (EUR 5.9bn) Total Capital ratio 17.1% 16.8%
Operational risk RWA and Market risk RWA increased
primarily awaiting the transition from the standardised to the
advanced approach RWA and capital ratio development
A roll-out plan is being executed to move the majority of In EUR bn
Notes: 25% Core Tier 1 ratio (%) Tier 1 ratio (%) 150
portfolios currently reported under the Standardised Approach Total Capital ratio (%) RWA (rhs)
1.In October, another Tier 2 note 124.4 130.1
was issued for SGD 1bn (EUR
to the Advanced-IRB approach in 2013 109.4 109.1 115.7 118.3 121.1
20% 120
632m), the effect of which is not
included in the Basel II & III 18.2
15% 17.9 17.4 16.8 16.5 16.2 17.1 90
figures at 30 September 2012 in
13.8 13.9 13.2
this presentation. The 13.0 12.9 12.7 12.2
transaction is expected to be at 10% 11.3 11.4 11.9 11.4 60
10.9 10.7 10.6
least eligible for grandfathering
under Basel III 5% 30
2.Core Tier 1 ratio is defined as
Tier 1 capital excluding all hybrid 0% 0
capital instruments divided by mrt 2011 jun 2011 sep 2011 dec 2011 mrt 2012 jun 2012 sep 2012
risk-weighted assets (RWA)
24
